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Vafopoulos, Michalis N. - 2011

The volatility of equity and foreign exchange market is an important input to portfolio selection and to asset pricing models. Many investment decisions and valuation of derivatives frequently rely on predictions of volatility. In this paper we review the existing empirical literature in...

Persistent link: https://www.econbiz.de/10013122403

A Robust Predictive Model for Stock Price Prediction Using Deep Learning and Natural Language Processing

Mehtab, Sidra; Sen, Jaydip - 2020

Prediction of future movement of stock prices has been a subject matter of many research work. There is a gamut of literature of technical analysis of stock prices where the objective is to identify patterns in stock price movements and derive profit from it. Improving the prediction accuracy...

Persistent link: https://www.econbiz.de/10014094821

Does the macroeconomy predict UK asset returns in an nonlinear fashion? : comprehensive out-of-sample evidence

Guidolin, Massimo; Hyde, Stuart; McMillan, David G.; … - 2010

We perform a comprehensive examination of the recursive, comparative predictive performance of a number of linear and non-linear models for UK stock and bond returns. We estimate Markov switching, threshold autoregressive (TAR), and smooth transition autoregressive (STR) regime switching models,...

Persistent link: https://www.econbiz.de/10008990694

Predictive Regressions under Arbitrary Persistence and Stock Return Predictability

Borup, Daniel; Christensen, Bent Jesper; Ergemen, Yunus Emre - 2021

present value theory. Long-term government bond yields exhibit predictive power over all horizons from one month through five …

Persistent link: https://www.econbiz.de/10013238244

Beta Measurement and Forecasting with High Frequency Returns

Doan, Bao Huy - 2020

measurement and forecasting of variance, covariance, correlation and Capital Asset Pricing Model (CAPM) beta. This paper studies … CAPM beta measurement and forecasting with high frequency returns and evaluates trade-offs between bias and variability …

Persistent link: https://www.econbiz.de/10012848006

Long memory persistence in the factor of Implied volatility dynamics

Härdle, Wolfgang (contributor); Mungo, Julius (contributor) - 2007

The volatility implied by observed market prices as a function of the strike and time to maturity form an Implied Volatility Surface (IVS). Practical applications require reducing the dimension and characterize its dynamics through a small number of factors. Such dimension reduction is...

Persistent link: https://www.econbiz.de/10003633787

Value-at-risk and expected shortfall when there is long range dependence

Härdle, Wolfgang (contributor); Mungo, Julius (contributor) - 2008

-term contracts. On the other hand, recent focus is on whether long memory can affect the measurement of market risk in the context of … that accomodate long memory hold the promise of improved long-run volatility forecast as well as accurate pricing of long … Value-at- Risk (V aR). In this paper, we evaluate the Value-at-Risk (V aR) and Expected Shortfall (ESF) in financial markets …

Persistent link: https://www.econbiz.de/10003636008

Long Memory Persistence in the Factor of Implied Volatility Dynamics

Härdle, Wolfgang - 2017

The volatility implied by observed market prices as a function of the strike and time to maturity form an Implied Volatility Surface (IV S). Practical applications require reducing the dimension and characterize its dynamics through a small number of factors. Such dimension reduction is...

Persistent link: https://www.econbiz.de/10012966247

Value-at-Risk and Expected Shortfall When There Is Long Range Dependence

Härdle, Wolfgang - 2017

-term contracts. On the other hand, recent focus is on whether long memory can affect the measurement of market risk in the context of … that accomodate long memory hold the promise of improved long-run volatility forecast as well as accurate pricing of long … Value-at-Risk (V aR). In this paper, we evaluate the Value-at-Risk (VaR) and Expected Shortfall (ESF) in financial markets …

Persistent link: https://www.econbiz.de/10012966258

Price Impact of Order Flow Imbalance : Multi-level, Cross-asset and Forecasting

Cont, Rama; Cucuringu, Mihai; Zhang, Chao - 2022

We investigate the impact of order flow imbalance (OFI) on price movements in equity markets in a multi-asset setting. First, we show that taking into account multiple levels of the order book when defining order book imbalance leads to higher explanatory power for the contemporaneous price...

Persistent link: https://www.econbiz.de/10013309799